Proof or show following statement is false
$$ (R \circ S) \cap (R \circ T) \subseteq R \circ (S \cap T) $$
Statement is false by counterexample
Let $ \langle x,y \rangle \in (R \circ S) \cap (R \circ T) $
$$ \iff (\langle x, y \rangle \in R \circ S) \wedge (\langle x ,y \rangle \in R \circ T) $$
$$ \iff (\exists w: \langle w,y \rangle \in S) \wedge (\exists z : \langle z, y \rangle \in T) $$
$$ \iff \{ \langle x, w \rangle, \langle x, z \rangle \} \in R $$
$$ \iff \{ \langle w, y \rangle \} \cap \{ \langle z , y \rangle \} = S \cap T = \emptyset $$
$$ \iff \langle x , y \rangle \not\in R \circ (S \cap T) $$
$$ \iff (R \circ S) \cap (R \circ T) \not\subseteq R \circ (S \cap T) $$
Is this valid?
You seem to be somehow on a right track, but what you write is formally awfully wrong. For example, the staements $$ (\exists w: \langle w,y \rangle \in S) \wedge (\exists z : \langle z, y \rangle \in T)$$ and $$\{ \langle x, w \rangle, \langle x, z \rangle \} \in R $$ are certainly not equivalent (the first says nothing about $R$, the second says nothing about $S,T$), hence should not be connected with an "$\iff$".
However, in the line where you end up writing $S\cap T=\emptyset$, you apparently have the right idea, namely to have $S=\{\langle w,y\rangle\}$ and $T=\{\langle z,y\rangle\}$ ... somehow. Turn this into a concrete counterexample with all elements being different as far as required by the idea:
or somewhat "minimized":